Theory of Portfolio Management

The Theory of Portfolio Management sub-page presents a selected list of Quantpedia’s research articles related to essential portfolio management topics like factor analysis, theory of asset allocation, risk management and position sizing.


An Introduction to Volatility Targeting

One of the most popular reports in the Portfolio Analysis section of our Quantpedia Pro tool is “Volatility Targeting”. In this article, we will explain some theory behind this portfolio management method. And then, we will go more in-depth, pick several examples and explain some common volatility targeting variants.

A Robust Approach to Multi-Factor Regression Analysis

This blog post aims to introduce the multi-factor regression model we use in the Quantpedia Pro tool, its logic and the method we have decided to use.

Continuous Futures Contracts Methodology for Backtesting

The industry standard for backtesting futures strategies is to construct one data sequence from a stream of contracts. Our short article shows the importance of choosing the correct methodology for building continuous futures contracts data series…

How Do Investment Strategies Perform After Publication?

In this article, we will look deeper on whether the market anomalies can be arbitraged away, if the profits are lower for the specific strategy once the strategy becomes well-known, and even if the strategies can be timed. Quantpedia‘s readers are often interested in these common topics, and we will try to shed some light on them.

The Knapsack problem implementation in R

Our own research paper ESG Scores and Price Momentum Are More Than Compatible utilized the Knapsack problem to make the ESG strategies more profitable or Momentum strategies significantly less risky. The implementation of the Knapsack problem was created in R, using slightly modified Simulated annealing optimization algorithm. Recently, we have been asked about our implementation and the code.

Risk Parity Asset Allocation

This article is a primer into the methodology we use for the Portfolio Risk Parity report, which is a part of our Quantpedia Pro offering. We explain three risk parity methodologies – Naive Risk Parity (inverse volatility weighted), Equal Risk Contribution and Maximum Diversification.

Markowitz Model

This report helps calculate the efficient frontier portfolios based on the various constraints and during different predefined historical periods. Furthermore, it aims to create the most return-to-risk efficient portfolio by analyzing various portfolio combinations based on expected returns (mean) and standard deviations (variance) of the assets.

Introduction to CPPI methodology

Constant Proportion Portfolio Insurance (CPPI) is a strategy that enables an investor to keep exposure to a risky asset’s upside potential while providing a guarantee against the downside risk by dynamically scaling the direction. It’s a popular strategy often used to build protected funds or as a part of various synthetic derivative products.

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